지속가능티끌/Data.Math.Phys
Augmented Dickey Fuller Test . ADF. 시계열 정상성 평가 수단
i.got.it
2020. 6. 19. 17:34
Augmented Dickey Fuller Test
- 시계열 데이터에 unit root 존재 확인수단, 시계열의 stationary(정상성) 정도 정량화 수단
위키 : https://en.wikipedia.org/wiki/Augmented_Dickey%E2%80%93Fuller_test
Augmented Dickey–Fuller test - Wikipedia
In statistics and econometrics, an augmented Dickey–Fuller test (ADF) tests the null hypothesis that a unit root is present in a time series sample. The alternative hypothesis is different depending on which version of the test is used, but is usually st
en.wikipedia.org
연관
Order of integration. Cointegration.
Order of integration , I(d) - covariance-stationary 상태가 되기 위한 최소 차분(difference) 수를 order of integration 이라 함. - 어떤 시계열을 1회 차분했더니 stationary 상태가 되었다면 order of integ..
igotit.tistory.com
첫 등록 : 2020.06.19
최종 수정 :
단축 주소 : https://igotit.tistory.com/2547